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SOME CODES RELATED TO MY WORK
(click on the title to download)


Determining the number of static factors in approximate factor models       Matlab
Reference:
Alessi, L., Barigozzi, M. and Capasso M.
Improved penalization for determining the number of factors in approximate static factor models
Statistics and Probability Letters, 2010, 80, 1806–1813


Structural dynamic factor model for the euro area       Matlab
Reference:
Barigozzi, M., Conti, A., and Luciani, M.
Do euro area countries respond asymmetrically to the common monetary policy?
Oxford Bulletin of Economics and Statistics, 2014, 76, 693–714


nets       R package
Reference:
Barigozzi, M. and Brownlees C.
NETS: Network estimation for time series


Dynamic factor models and volatilties       Matlab
References:
Barigozzi, M. and Hallin, M.
Generalized dynamic factor models and volatilities: recovering the market volaitility shocks
Econometrics Journal, 2016, 19, C33–C60
Barigozzi, M. and Hallin, M.
Generalized dynamic factor models and volatilities: estimation and forecasting
Journal of Econometrics, 2017, 201, 307–321


Factors and networks for volatilties       Matlab
Reference:
Barigozzi, M. and Hallin, M.
A network analysis of the volatility of high-dimensional financial series
Journal of the Royal Statistical Society - series C, 2017, 66(3), 581–605


Non-stationary dynamic factor models       Matlab
Reference:
Barigozzi, M., Lippi, M., and Luciani, M.
Non-stationary dynamic factor models for large datasets


factorcpt       R package
Reference:
Barigozzi, M., Cho, H., and Fryzlewicz, P.
Simultaneous multiple change–point and factor analysis for high-dimensional time series


Factors and international financial markets       Matlab
Reference: Barigozzi, M., Hallin, M., and Soccorsi, S.
Identification of global and local shocks in international financial markets via general dynamic factor models
Journal of Financial Econometrics, 2018, forthcoming




OTHER CODES
(click on the title to download)


Generalized Dynamic Factor Model       Matlab
written by M. Barigozzi, M. Forni, R. Liška, M. Luciani

References:
Forni, M., Hallin, M., Lippi, M. and Reichlin, L. (2000) The Generalized Dynamic Factor Model: Identification and estimation
The Review of Economics and Statistics, 82, 540-554
Forni, M., Hallin, M., Lippi, M. and Reichlin, L. (2005) The Generalized Dynamic Factor Model: One-sided estimation and forecasting
Journal of the American Statistical Association, 100, 830-840
Forni, M., Hallin, M., Lippi, M. and Zaffaroni, P. (2017) Dynamic Factor Models with infinite-dimensional factor space: Asymptotic analysis
Journal of Econometrics, 199, 74-92
Hallin, M. and Liska, R. (2007) Determining the number of factors in the General Dynamic Factor Model
Journal of the American Statistical Association, 102, 603-617